Need help setting up lighting for a render like this.
Basic setup

First, make the world background black, then add a single light because in your image there is no light whatsoever in the shadows. 

Position/Orientation

The position of the light will depend on the type you will use, e.g., for a sun lamp the position doesn't matter. Approximate orientation can be determined by examining the shadows and highlights on the chin and hair regions. See in this picture how the shadow around the chin (relatively smoothly curving surface) is left of the center of his chin and the highlights in his hair extend to the right of the midline through his face.



Example 1

In this case, I used a single area lamp with a size of 1. You can see that with the more finely detailed model due to texturing, the lighting looks better than in the next example because of the finer shadows.



Example 2

In this case, I used a sun lamp, but of course, you could also use a spot, point, area, or even a mesh light.



Extras


You can adjust the lamp size to change the how blurred or scattered the shadows are.
If you want any ambient light to show on your object (which is not in your picture), you can change the strength of the world background based on if a ray is coming from the camera.





If you want more photorealistic light behavior, get Filmic.


The models that I showed in the demos are available on Blend Swap here and here. You can download the rendering setup for the skull project that I edited here: